A computationally reduced version of the fast H∞ filter

The fast H∞ filter is designed to overcome the performance limitations of the fast Kalman filter and the fast transversal filter used for system identification; however, its computational complexity exceeds O(7N), the complexity of the original fast transversal filter. In this work, a computationally reduced version of the fast H∞ filter is derived as an a posteriori error formulation of the fast H∞ filter using a conversion factor. The conversion factor-based fast H∞ filter provides the same performance as the fast H∞ filter at the expense of a computational cost comparable to that of the fast transversal filter.